Giacomo TOSCANO

Ruolo attuale:: Ricercatore Legge 240/10 a tempo determinato
SSD:: STAT-04/A - Metodi matematici dell'economia e delle scienze attuariali e finanziarie
Afferenza organizzativa:: Dipartimento di Scienze per l'Economia e l'Impresa

Recapiti

	0552759581
	giacomo.toscano(AT)unifi.it

Ulteriori Recapiti

	Stanza 2.45, Edificio D6
	https://sites.google.com/view/giacomo-toscano/home-page

Giacomo TOSCANO

Orario di ricevimento (aggiornato al 30/09/2023)

By appointment. To make an appointment, write to giacomo.toscano@unifi.it.

Giacomo TOSCANO

Curriculum

RTD A, DISEI, da settembre 2022;

Post-doc, DISEI, dicembre 2020 - agosto 2022;

Ph.D., Financial Mathematics, Scuola Normale Superiore, Pisa, 2021;

M.Sc., Finance and Risk Management, Università degli Studi di Firenze, 2016;

Laurea triennale, Economia Aziendale, Università degli Studi di Firenze, 2014.

Giacomo TOSCANO

Interessi

Modelli a volatilità stocastica, finanza high-frequency, metodi di Fourier-Malliavin per la stima della volatilità.

Fourier-Malliavin method website

Giacomo TOSCANO

Pubblicazioni

Legenda

Contributo su rivista |

Articolo su libro |

Libro |

Contributo in atti di convegno (proceeding) |

Brevetto |

Curatela | Altro

Altro |

Tesi di Dottorato

Giacomo Toscano; Giulia Livieri; Maria Elvira Mancino; Stefano Marmi (2024). Volatility of volatility estimation: central limit theorems for the Fourier transform estimator and empirical study of the daily time series stylized facts. JOURNAL OF FINANCIAL ECONOMETRICS, vol. 22, pp. 252-296, ISSN:1479-8409 DOI

Maria Elvira Mancino; Tommaso Mariotti; Giacomo Toscano (2024). Asymptotic normality and finite-sample robustness of the Fourier spot volatility estimator in the presence of microstructure noise. JOURNAL OF BUSINESS & ECONOMIC STATISTICS, pp. 1-35, ISSN:0735-0015 DOI

Alessio Brini; Giacomo Toscano; (2024). SpotV2Net: Multivariate Intraday Spot Volatility Forecasting via Vol-of-Vol-Informed Graph Attention Networks. INTERNATIONAL JOURNAL OF FORECASTING, pp. 1-33, ISSN:0169-2070 DOI

Raffaelli, Iacopo; Scotti, Simone; Toscano, Giacomo (2024). Hawkes-driven stochastic volatility models: goodness-of-fit testing of alternative intensity specifications with S &P500 data. ANNALS OF OPERATIONS RESEARCH, vol. 336, pp. 27-45, ISSN:0254-5330 DOI

Sanfelici, Simona; Toscano, Giacomo (2024). The Fourier–Malliavin Volatility (FMVol) MATLAB® library. MATHEMATICS AND COMPUTERS IN SIMULATION, vol. 226, pp. 338-353, ISSN:0378-4754 DOI

Tommaso Mariotti, Fabrizio Lillo, Giacomo Toscano (2023). From Zero-Intelligence to Queue-Reactive: Limit Order Book modeling for high-frequency volatility estimation and optimal execution. QUANTITATIVE FINANCE, vol. 23, pp. 367-388, ISSN:1469-7688 DOI

Toscano, G (2022). The price-leverage covariation as a measure of the response of the leverage effect to price and volatility changes. APPLIED STOCHASTIC MODELS IN BUSINESS AND INDUSTRY, vol. 38, pp. 497-511, ISSN:1524-1904 DOI

Maria Elvira Mancino ; Giacomo Toscano (2022). Rate Efficient Asymptotic Normality for the Fourier Estimator of the Leverage Process. STATISTICS AND ITS INTERFACE, vol. 15, pp. 73-89, ISSN:1938-7989 DOI Accesso ONLINE all'editore

Toscano G.; Recchioni M.C. (2022). Bias-optimal vol-of-vol estimation: the role of window overlapping. DECISIONS IN ECONOMICS AND FINANCE, vol. 45, pp. 137-185, ISSN:1593-8883 DOI

Orlandi A.; Toscano G. (2021). The foreign exchange market in Barcelona at the beginning of the fifteenth century. FINANCIAL HISTORY REVIEW, vol. 28, pp. 124-151, ISSN:0968-5650 DOI

M.E. MANCINO , S. SCOTTI , G. TOSCANO (2020). Is the variance swap rate affine in the spot variance? Evidence from S&P500 data. APPLIED MATHEMATICAL FINANCE, vol. 27, pp. 288-316, ISSN:1350-486X DOI

Giacomo TOSCANO

Curriculum

Fixed-term researcher (RTD A), Dept. of Economics, University of Florence, since Sep, 2022

Post-doctoral fellow, Dept. of Economics, University of Florence, Dec, 2020-Aug, 2022

Ph.D., Financial Mathematics, Scuola Normale Superiore, Pisa, 2021

M.Sc., Finance and Risk Management, University of Florence, 2016

B.A., Economics, University of Florence, 2014

Giacomo TOSCANO

Interest

Mathematical finance, Volatility modeling, High-frequency finance, Fourier-Malliavin estimation method.

Fourier-Malliavin method website